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The importance of tourism for the economy has been growing worldwide with substantial growth in international tourist arrival and receipts. There is consensus on the positive economic consequences ...

In the aftermath of the 2008 financial crisis, the entire Indian banking industry was paralysed and their performance was shattered by the unfolding of enormous cases of Non-performing Assets (NPA)...

The case presents a real-life situation faced by a research analyst to improve the performance of the funds under management by exploring the opportunities in the options market. Golden Chariot Capital (GCC), an investment firm with ₹500 million worth of assets under management, was failing in its objective to provide long-term capital appreciation with a steady income to its investors. GCC had its funds invested in publicly traded common stocks and corporate bonds. In the last 8 months, GCC failed to match up with the benchmark index. Ms Indira, a research analyst at GCC, was given the task to identify and suggest alternate avenues of investment. Indira brought forward a proposal to explore the derivatives market in general and options market in particular to improve the fund performance. After going through Indira’s proposal, few fund managers at GCC were reluctant to expose their funds to the speculative market of options. Hence, Indira was asked to conduct a pilot study on the payoffs resulting from selected income strategies using options. As an illustration, Indira came up with five income strategies comprising covered call, covered put, short straddle, short strangle and long iron condor that involved either selling of options resulting in income or reduction of cost of the portfolio. The case will help the students to learn about options and their payoffs, as well as strategies involving various options. The case is equally useful for practitioners taking a balanced view of the market to develop appropriate options related to income strategies.

Structure and degree of oil price impact on sectoral indices are examined using Quantile Regression Analysis (QRA). Nine sectors are found to provide diversification opportunities during a bull market (i.e. 90th quantile of the return distribution) and three sectors during a bear market (10th quantile) to hedge oil price risk. Further, the contagion effect and interdependency between oil price and sectoral equity are assessed through frequency domain causality. The causality from oil price in the long run determined that there is interdependence between three sectors and oil price changes. The direction of causality from oil price is mixed in both the short run (high frequency) and long run (low frequency) for nine sectors. Overall, the carbon sector is the only sector that is immune to oil price risk, thereby providing investment and hedging opportunities for portfolio managers.

The purpose of this study is to examine the presence of volatility smirk anomaly in index options and its predictability for future returns. The study tests the temporal properties of volatility smirk and further explores the factors determining the anomaly. The daily volatility smirk is computedfor the period 2004-2014 and the first lag of smirk is used in generalized least square (GLS) estimation framework, with set of control variables in two different specifications, to test the predictability as well as the determinants of volatility smirk. The study reports significant presence of volatility smirk in index options with an auto--regressive structure. Smirk predicts marginal returns and the predictability is robust to the control of major risk factors. It is also found that open interest of calls and puts, along with market risk premium and momentum premium, act as significant predictor of volatility smirk. The results are helpful in enhancing returns on investment in Index based funds and designing options strategies from the perspective of volatility risk. The study is first of its kind in the Indian market examining the reasons and consequences of existence of volatility smirk in index options. Keywords: options, implied volatility, informed trading, moneyness, volatility smirk. JEL Classification: G1. Introduction One of the major anomalies reported in the literature of derivatives is the presence of volatility smirk implicit in the prices of options (see Bates 2003, Xing et al. 2010). Volatility smirk refers to the difference of the implied volatilities of out--of--the--money (OTM) put options and at--the--money (ATM) call options for the same underlying. The presence of volatility smirk in the prices of index and stock options violates the Black and Scholes (1973) options pricing theory (B--S). The B--S theory suggests that every option should imply the same volatility for a given underlying. However, the presence of volatility smirk indicates that implied volatility, as a function of exercise/moneyness for a certain maturity, is a negatively skewed curve for most of the options (Foresi and Wu 2005). Series of options prices provide insights into the climate of expectations of various market participants. For instance, a call option pays off only when it finishes in--the--money (ITM) implying that the underlying asset price is in excess of the exercise price. On the other hand, a put option pays off only when the reverse is true. Thus, the set of call and put options premium across all exercise prices provides a very direct indication of market participants' aggregate subjective distributions (Bates 1991, 2000). Therefore, an assessed downside risk in the market will lead "put options with exercise prices well below the current spot price"(OTM puts), being priced higher than "calls with exercise prices close to the spot price: (ATM calls). Large downward movements in the market make the "puts" more likely to finish ITM than the "calls"and results in steeper volatility smirk. Pan (2002) reports that investors tend to choose OTM puts to express their concerns about possible future negative jumps, thus making OTM puts more expensive. The characteristics of volatility smirk and reasons thereof have been thoroughly analyzed for index options (Bates 1991, Pan 2002, Chen and Xu 2014) as well as stock options (Bollen and Whaley 2004, Xing et al. 2010). The recent studies on options suggest that the presence of volatility smirk could be attributed to the aversion of investors to future negative jumps in the prices of the underlying (see Bates 1991, Pan 2002, Kim and Zhang 2014). However, the empirical investigation on determinants of volatility smirk and the utility of smirk in enhancing the incentives of traders are sparse. Volatility smirk being a signal to negative price jump seeks attention as it can help market participants to mitigate their potential losses significantly, when they know the direction and magnitude of smirk--returns relationship. …

Purpose Although research on mobile banking (M-banking) is an emerging field, the current understanding of the information characteristics of M-banking, such as information content and form and its impacts on customers’ attitude and transaction intention toward the same is limited. Furthermore, no study to date has examined how users’ privacy evaluation regarding the use of M-banking (i.e. users’ perceived privacy concern) influences their processing of information to create attitude and subsequent transaction intention. The purpose of this paper is to attempt to narrow this research gap by investigating the process through and conditions under which the customers’ evaluation of M-banking information content and form contributes to the development of transaction intention. Design/methodology/approach A self-administered survey on the users of M-banking was performed to collect the response. Mediation analyses followed by conditional process analyses were carried out to test the proposed set of hypotheses. Findings The results show that users’ favorable evaluation of M-banking information content and form creates transaction intention through favorable attitude toward M-banking. However, this relationship is found to be moderated by their perceived privacy concern, as users with high privacy concern do not process information content and form favorably, i.e., their attitude and transaction intention are found to be less, as compared to users with low perceived privacy concern. Originality/value Drawing on literature from areas, such as information processing, internet banking, marketing and psychology, the paper develops an understanding of the role of information characteristics of M-banking in determining users’ transaction intention via user attitude. Furthermore, this is the first study that shows how information characteristics differently influence users’ attitude and transaction intention based on their perceived privacy concern.

Purpose – The purpose of this paper is twofold. First, develop and test a conceptual model to understand the relationship between customers’ servicescape perceptions, self-image congruity and attitude in healthcare context. Second, to examine the extent to which the relationship between customers’ self-image congruity to attitude in a fully mediated model is moderated by their prior experience. Design/methodology/approach – Utilizing a self-administered survey of 320 customers, the study tested the proposed relationships with robust data analytic techniques. Findings – The results show that favorable servicescape perceptions help customers to form image congruence in terms of symbolic and functional elements and thereby strengthen their attitude. Further, servicescape accentuated image congruence have varying effects on customers’ attitude depending up on customers’ prior experience. Research limitations/implications – This study emphasized the role of servicescape on self-image congruity formation and customer attitude in a new service context (healthcare), and contribute to the body of existing knowledge on servicescapes and image congruity and further verify the soundness and robustness of the integrative theoretical framework. Practical implications – Favorable servicescape perceptions may encourage customers to form image congruence and attitude. In this respect, managers should make efforts to signal desired servicescape perceptions in order to retain existing customers and attract new ones. Originality/value – This study was the first to apply an integrative perspective of inference theory and image congruity theory to the context of hospital services to understand the relationship between servicescape, image-congruity and customer attitude.

Purpose – This paper aims to provide empirical evidence of relationship between perceived service innovativeness, image-congruence, satisfaction and behavioral outcomes at the customer level. It hypothesizes a moderated mediation model, denoting that perceived service innovativeness relates to image-congruity dimensions, which, in turn, will promote satisfaction at cognitive and affective level, thereby creating strong behavioral outcomes. Design/methodology/approach – Data were collected through online surveys. The survey aimed at measuring the hypothesized constructs and other study-relevant information. Hypotheses were tested using the structural equation modeling technique. Findings – This paper validates the role of perceived service innovativeness as a mechanism facilitating development and transfer of customer’s image-congruence toward a service firm. It also finds that the image-congruity dimensions fully mediate the relationship between perceived innovativeness and satisfaction. The resultant customer satisfaction leads to the development of behavioral outcomes. Further, the study finds that perceived innovativeness have varying effects on image-congruence dimensions depending upon customer’s prior experience. Practical implications – The study provides evidence to managers that the customer-centric value creation through image-congruence requires development of positive perceived service innovativeness, which will result in customer satisfaction and their behavioral outcomes. Originality/value – The study is the first attempt to find empirical support for the role of perceived service innovativeness to create customer’s image congruity with a service firm. Further, analyzing how perceived service innovativeness, image-congruence, customer satisfaction and behavioral outcomes are related to each other is also an important contribution.

The present study attempts to track the transmission of volatility across major international stock markets over a span of 20 years, which includes both crisis (contagion form) and non-crisis periods. It also investigates whether global transmission of volatility follows a pattern. The study uses bi-variate EGARCH model in order to capture spillover between a pair of stock markets and the estimation window is one year with a sliding frequency of one quarter. The results show that, there is a spillover of volatility between international stock markets at all times. Results also indicate that in almost all cases, the pattern of spillover is non-random. Finally, the study characterizes the spillover pattern between international stock markets using suitable theoretical distributions.

In finance literature, volatility is synonymous with the measure of risk. Spillover of volatility refers to the transmission of disturbances or shock from one market to another and has direct consequence on resource allocation, risk hedging, and even, monetary policies. Spillover between stock markets has been the subject of study since 1990s where researchers have studied the nature of time-varying correlations between international stock markets. Extant literature substantiates the fact that volatility spillover between international stock markets happens at all times and that developed nations, particularly the US, is the major source of spillover. However, studies involving emerging markets, specifically in the Asia-Pacific region is scarce. Moreover, a clear understanding regarding the pattern of volatility transmission across international stock markets is lacking. The present study attempts to track the transmission of volatility across 11 international stock markets in the Asia-Pacific region over a span of 20 years, which include both crises (i.e. contagion form) and non-crisis periods. It also investigates whether global transmission of volatility follow a pattern. Our study contributes to the literature in two ways: (1) It provides a historical map of volatility transmission in the Asia-Pacific region; and (2) this study identifies the path and pattern of volatility spillover across Asia-Pacific stock markets.

Financial regulations distort normal functioning of a financial system through various channels. When these systems are reformed/deregulated on the lines of liberal markets, there will be structural adjustments and these adjustments will in turn cause various market/economic forces to behave on the lines that are expected in a liberal free market system. The focus of this study is to show how financial regulations impact structural elements of a financial system. In this study we analyze the impact of financial reforms that took place in India beginning in 1991on the structural aspects such as size, competitiveness, efficiency, geographical spread interest rates etc.) of the financial system. In the last part of our paper we show how structural changes in the financial market changed corporate structuring behavior of corporate firms. As reforms effected major changes, firms had to adjust their capital structure in response to the changes occurring in the financial system.